Newest NAAIM Survey: Money Managers Are Getting More Aggressive - John Rothe | Portfolio Manager, Quant, Tech Geek, And Sometime Superhero To My Kids

Newest NAAIM Survey: Money Managers Are Getting More Aggressive

 

The red line shows the close of the S&P 500 Total Return Index on the survey date. The bars depict a two-week moving average of the NAAIM managers' responses.

 

NAAIM (National Association of Active Investment Managers) member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day of the week, currently Wednesdays. Responses can vary widely as indicated below. Responses are tallied and averaged to provide the average long (or short) position or all NAAIM managers, as a group.

Range of Responses 200% Leveraged Short
100% Fully Short
0% 100% Cash or Hedged to Market Neutral
100% Fully Invested
200% Leveraged Long.

 

The NAAIM Number: 68.64 (as of 3/21/12)

Last Quarter Average: 30.9%

 

Date NAAIM Number
Mean/Average
Bearish Quart 1 Quart 2 Quart 3 Bullish Deviation
3/21/2012 68.64 -125 55.00 75.00 99.00 155 47.06
3/14/2012 71.79 -125 50.00 80.00 100.00 175 47.80
3/7/2012 57.37 -200 40.00 53.50 96.00 150 56.55
2/29/2012 73.78 -50 60.00 77.00 100.00 155 36.76
2/22/2012 76.28 -60 50.00 87.50 100.00 150 37.17
2/15/2012 73.00 -35 50.00 75.00 100.00 175 36.23
2/8/2012 72.66 -40 50.00 72.00 100.00 150 36.82
2/1/2012 67.52 -75 50.00 75.00 100.00 125 39.38

 

NAAIM member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day of the week, currently Wednesdays. Responses can vary widely as indicated below. Responses are tallied and averaged to provide the average long (or short) position or all NAAIM managers, as a group.

Range of Responses 200% Leveraged Short
100% Fully Short
0% 100% Cash or Hedged to Market Neutral
100% Fully Invested
200% Leveraged Long.

Data collection issues that may affect the statistical significance of this data include:

Use of a single, composite number for each adviser may not accurately represent the market view of a manager who has short term and long term strategies that are providing conflicting signals or a manager who uses both contra-trend and trend following strategies for different portfolios.

Investment Styles very widely among managers participating in this survey. They may include managers that trade very frequently and can switch long and short positions daily. Other managers stay fully invested at all times and only change allocations among market segments or sectors. Still others trade around core positions and only a portion of their portfolios change, but that portion could potentially go from long to short very quickly.

Sample size: Although the number of participating managers, known as NAAIM Trend Setters, is steadily growing the sample size is not large and therefore may be less reflective of actual market conditions.

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